How exactly you go about transferring your data from one db to another will depend on the tool that you use. If you use phpMyAdmin there should be an export tab you can select and it will let you create a .sql file that is a backup of your db. You can then import the backup on your live site or visa versa. We have some free training for those new to db manipulation, it is called the database starter kit, here is a link to it:
Please post back with any questions that you have about this or any other part.